Essays about: "Sharpe Ratio"
Showing result 6 - 10 of 198 essays containing the words Sharpe Ratio.
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6. Robust Portfolio Optimization with Correlation Penalties
University essay from KTH/Matematisk statistikAbstract : Robust portfolio optimization models attempt to address the standard optimization method's high sensitivity to noise in the parameter estimates, by taking an investor's uncertainty about the estimates into account when finding an optimal portfolio. In this thesis, we study robust variations of an extension of the mean-variance problem, where an additional term penalizing the portfolio's correlation with an exogenous return sequence is included in the objective. READ MORE
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7. Socially Responsible and Financially Rewarding: The Relationship Between ESG and Stock Market Returns
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : We study the link between the ESG-performance of 20 OECD countries and the excess returns of their major stock indices between 2005 and 2015. Our research shows a significant positive relationship between the two metrics. READ MORE
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8. Do Stocks Outperform Treasury Bills? Evidence From a Swedish Setting
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Most Swedish stocks listed since 1983 post lifetime buy-and-hold returns that are less than one-month Swedish Treasury bills. In terms of risk-adjusted returns for the same time horizon, individual Swedish stocks vastly underperform value-weighted benchmarks when measured with a Sharpe ratio. READ MORE
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9. Predicting the Movement of the S&P 500 Index using Machine Learning
University essay from Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionenAbstract : Predicting the stock market has been a longstanding topic of interest in financial research. It is regarded as a highly challenging but important task given the vital role the financial markets play in shaping the global economies. In this thesis, the goal is to predict the movement of the S&P 500 Index using machine learning methods. READ MORE
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10. The Performance of Growth Stocks Compared to Value Stocks : – A Study Conducted on the Swedish and Danish Stock Market
University essay from Jönköping University/Internationella HandelshögskolanAbstract : Background: Most investors strive to achieve the same goal with their investments, maximize returns and profits. However, the approach deviates as there are many alternatives on the stock markets. Preferences such as the amount of risk also influences an investor’s selection of stocks. READ MORE